topic Proc VARMAX with Newey-West correction in Statistical Procedures

topic Proc VARMAX with Newey-West correction in Statistical Procedures https://communities.sas.com/t5/Statistical-Procedures/Proc-VARMAX-with-Newey-West-correction/m-p/419091#M22031 <P>Hi, </P><P> </P><P>I'm estimating a VECM model using the VARMAX procedure.</P><P>I was asked to correct the t-stats using New-West correction.</P><P>I searched the documentation and SAS Communities but didn't find a solution, Is there a way to do it using VARMAX?</P><P> </P><P>Thanks, </P><P>SK</P> Thu, 07 Dec 2017 08:44:01 GMT SK12376574 2017-12-07T08:44:01Z Proc VARMAX with Newey-West correction https://communities.sas.com/t5/Statistical-Procedures/Proc-VARMAX-with-Newey-West-correction/m-p/419091#M22031 <P>Hi, </P><P> </P><P>I'm estimating a VECM model using the VARMAX procedure.</P><P>I was asked to correct the t-stats using New-West correction.</P><P>I searched the documentation and SAS Communities but didn't find a solution, Is there a way to do it using VARMAX?</P><P> </P><P>Thanks, </P><P>SK</P> Thu, 07 Dec 2017 08:44:01 GMT https://communities.sas.com/t5/Statistical-Procedures/Proc-VARMAX-with-Newey-West-correction/m-p/419091#M22031 SK12376574 2017-12-07T08:44:01Z